The current study aims to investigate the relationship among problem solving, hope, and self-efficacy and to test a model for determining the role of self-efficacy in the relationship between problem solving and hope. It adopted convenience sampling and consisted of 494 undergraduate students (369 females; 125 males). The Hope Scale, General Self-Efficacy Scale and Problem Solving Inventory were applied in order to collect the data. Pearson correlation analysis and two-step Structural Equation Modelling were used for data analysis. Findings revealed that while a high level of positive correlation existed among problem solving, self-efficacy and hope, a moderate positive relationship was found between self-efficacy and hope. As a result of Structural Equation Modelling, self-efficacy was found to be significantly predicted by problem solving whereas hope was observed to be significantly predicted by problem-solving and self-efficacy. In addition, mediation analysis demonstrated that the relationship between problem solving and hope emerged through the development of self-efficacy. As a result, this paper exhibited that individuals with developing problem solving ability had also developing self-efficacy, which in turn leads to an increase in hope. Therefore, it may be effective to take into account the components that will improve individuals' problem solving skills and perceptions about themselves while conducting the studies to raise the hope level, which is an important concept of psychological health.